Published on 4/19/2022 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $6.55 million callable contingent income securities on three indexes
By William Gullotti
Buffalo, N.Y., April 19 – Credit Suisse AG, London Branch priced $6.55 million of callable contingent income securities due April 18, 2024 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annualized rate of 8% if each index closes at or above its coupon barrier level, 65% of the initial level, on every trading day during the observation period.
The notes are callable at par at the option of the issuer on any quarterly early redemption date.
If the notes are not called and each index finishes at or above its 60% barrier level, the payout at maturity will be par. Otherwise, investors will lose 1% for each 1% decline of the least-performing index from its initial level.
Credit Suisse Securities (USA) LLC is the agent with Morgan Stanley Smith Barney LLC handling distribution.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Callable contingent income securities
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| Underlying indexes: | S&P 500 index, Russell 2000 index, Euro Stoxx 50 index
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| Amount: | $6,549,000
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| Maturity: | April 18, 2024
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| Coupon: | 8% annual rate, payable quarterly if each index closes at or above coupon barrier level on every trading day during the observation period
|
| Price: | Par
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| Payout at maturity: | If each index finishes at or above barrier level, par; otherwise, 1% loss for each 1% decline of the least-performing index from initial level
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| Call option: | At par at the option of the issuer on any quarterly early redemption date
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| Initial levels: | 4,392.59 for S&P, 2,004.98 for Russell, 3,848.68 for Stoxx
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| Coupon barrier levels: | 2,855.18 for S&P, 1,303.237 for Russell, 2,501.64 for Stoxx; 75% of initial prices
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| Barrier levels: | 2,635.55 for S&P, 1,202.988 for Russell, 2,309.21 for Stoxx; 60% of initial prices
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| Pricing date: | April 14
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| Settlement date: | April 21
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| Agent: | Credit Suisse Securities (USA) LLC
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| Distributor: | Morgan Stanley Smith Barney LLC
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| Fees: | 2%
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| Cusip: | 22553PSB6
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